EUR/USD X-Currency swap risks (xVA)

I'm trying to learn more about xVA desks and improve my intuition around financial product knowledge and hedging. I have been given this as an exercise.

"What are the CVA risks on a EUR/USD cross-currency swap 10y with Volkswagen"

Is there anyone who could advise me where I could start with this? Perhaps an overview of the risks I might have to consider or point me towards something I can read to start getting to grips with this.

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Class of '28 Apr 2026 Cohort

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“My mock session with Joyce was genuinely useful and very targeted. Rather than generic advice, she caught specific delivery habits I need to fix before my Superday. First, she pointed out how often I lean on filler words like "like" and "emm", and gave me a clear fix: pause instead of filling the silence. Second, she told me to slow down my pace overall, which should make my answers sound more confident and easier to follow. Third, she flagged that my opening warm-up came across as a bit stiff, and coached me to be warmer and more personable in the first few minutes so I build rapport before the technical part starts. All three points are things I can practice immediately, which is exactly what I needed at this stage of prep. The session felt focused and honest about what needs work, and I came out with a clear practice list. I would happily book with Joyce again for another round closer to the Superday.”

Class of '25 Nov 2026 Cohort

4.85/5

Sales & Trading Mock Interview

“super helpful, very accomodating in scheduling my prep within 1hr of the request. had a lot of actionable takeaways. pointed out things i should specifically focus on for the interview and gave me priority list to focus for tonight and in the morning. also gave me general knowledge of possible technical side of how the desk opperates. ”

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EUR/USD X-Currency swap risks (xVA)

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EUR/USD X-Currency swap risks (xVA)

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